They system makes use of trending volatiility, yet there have been some decent trendy years in commodities in 03 and 04 in which it has performed relatively poorly. It trades 2 contracts minimum and closes out 1 contract early to approximately breakeven in choppy markets.

Annual return is approximately 20% P.A on account size equal to 10 times the intial margin. Maximum ddown of 10% in backtesting over 5years over 5 indexes and commodities

Just wondering whether the system with such huge deviations in sharpe ratio and PF could just be an abberation over those years? its had 8/10 winning years